Testing seasonality in the liquidity-return relation: Japanese evidence

Yuk Ying Chang, Robert Faff*, Chuan Yang Hwang

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Abstract

We study liquidity (share turnover) effects of stock returns and their seasonality using Japanese data. We find a significant and negative turnover/return relation. Moreover, we find that the liquidity effect is not impacted by either January or June seasonality. There is weak evidence that stocks with higher liquidity risk have on average higher rates of return for non-June months.

Original languageEnglish
Pages (from-to)951-954
Number of pages4
JournalApplied Economics Letters
Volume17
Issue number10
DOIs
Publication statusPublished - Jul 2010
Externally publishedYes

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